| Risk/Reward Statistics | |
|---|---|
| Sharpe Ratio | 0.09 |
| Sortino Ratio | 0.13 |
| Omega Ratio | 0.13 |
| Skewness | -0.53 |
| Kurtosis | 3.03 |
| Risk Statistics | |
|---|---|
| Annualized Std.Deviation | 13.08 |
| Maximum Drawdown | 57.29 |
| Month to Recover | 134.00 |
| Worst Month | -20.78 |
| Losing Months (%) | 46.20 |
| Average Losing Month | -2.84 |
| Loss Deviation | 2.76 |
| Return Statistics | |
|---|---|
| Last Month | -0.65 |
| Year To Date | 3.53 |
| 3 Month ROR | -0.96 |
| 12 Month ROR | -5.46 |
| 36 Month ROR | -3.09 |
| Total Return | 41.32 |
| Compound ROR | 1.22 |
| Best Month | 12.64 |
| Winning Months (%) | 53.80 |
Time Window Analysis:
| 1 Month | 3 Month | 6 Month | 1 Year | 2 Year | 3 Year | 5 Year | |
|---|---|---|---|---|---|---|---|
| Best | 12.64 | 21.98 | 32.33 | 40.84 | 67.44 | 87.54 | 144.48 |
| Worst | -20.78 | -34.36 | -45.42 | -45.36 | -39.97 | -43.18 | -48.08 |
| Average | 0.17 | 0.56 | 1.28 | 2.71 | 5.89 | 8.75 | 16.81 |
| Median | 0.26 | 0.70 | 2.57 | 2.51 | 2.94 | 3.44 | 8.96 |
| Last | -0.65 | -0.96 | -1.79 | -5.46 | -4.04 | -3.09 | -33.25 |
| Winning (%) | 53.80 | 56.18 | 59.94 | 58.01 | 56.11 | 54.07 | 62.54 |
| Avg. Pos. Period | 2.76 | 5.15 | 8.02 | 13.55 | 23.18 | 29.86 | 40.47 |
| Avg. Neg. Period | -2.84 | -5.32 | -8.81 | -12.27 | -16.22 | -16.10 | -22.71 |
| # Of Periods | 342.00 | 340.00 | 337.00 | 331.00 | 319.00 | 307.00 | 283.00 |
Drawdown Report:
| Depth (%) | Length (Months) | Recovery (Months) | Start | End |
|---|---|---|---|---|
| -57.29 | 134 | NA | 2008-07-31 | NA |
| -36.93 | 77 | 56 | 1997-06-30 | 2003-10-31 |
| -9.54 | 14 | 12 | 2006-08-31 | 2007-09-28 |
| -8.10 | 31 | 16 | 1991-11-29 | 1994-05-31 |
| -6.02 | 4 | 3 | 2008-03-31 | 2008-06-30 |
\[ S_{C,K} := P_{C,K} - P_{C,K'} \]
for each commodity \(C\) as the price difference between the front contract \(K\) and deferred contract, twelve months out from the front contract, \(K'\).
| Risk/Reward Statistics | |
|---|---|
| Sharpe Ratio | 0.47 |
| Sortino Ratio | 0.71 |
| Omega Ratio | 0.56 |
| Skewness | 0.51 |
| Kurtosis | 4.68 |
| Risk Statistics | |
|---|---|
| Annualized Std.Deviation | 8.76 |
| Maximum Drawdown | 20.87 |
| Month to Recover | 133.00 |
| Worst Month | -10.51 |
| Losing Months (%) | 47.21 |
| Average Losing Month | -1.40 |
| Loss Deviation | 1.69 |
| Return Statistics | |
|---|---|
| Last Month | -0.57 |
| Year To Date | -5.33 |
| 3 Month ROR | -5.24 |
| 12 Month ROR | -9.74 |
| 36 Month ROR | -5.32 |
| Total Return | 215.45 |
| Compound ROR | 4.13 |
| Best Month | 13.94 |
| Winning Months (%) | 51.61 |
Time Window Analysis:
| 1 Month | 3 Month | 6 Month | 1 Year | 2 Year | 3 Year | 5 Year | |
|---|---|---|---|---|---|---|---|
| Best | 13.94 | 18.71 | 25.18 | 42.03 | 57.76 | 73.55 | 121.31 |
| Worst | -10.51 | -16.11 | -17.09 | -17.05 | -16.91 | -14.97 | -18.79 |
| Average | 0.37 | 1.14 | 2.35 | 5.00 | 10.91 | 17.29 | 34.20 |
| Median | 0.03 | 0.59 | 1.26 | 2.53 | 5.08 | 11.91 | 28.97 |
| Last | -0.57 | -5.24 | -5.33 | -9.74 | -4.50 | -5.32 | -18.79 |
| Winning (%) | 51.61 | 56.93 | 60.42 | 60.30 | 67.61 | 74.18 | 81.21 |
| Avg. Pos. Period | 2.00 | 3.93 | 6.39 | 11.64 | 18.88 | 25.05 | 43.99 |
| Avg. Neg. Period | -1.40 | -2.58 | -3.81 | -5.08 | -5.72 | -5.01 | -8.10 |
| # Of Periods | 341.00 | 339.00 | 336.00 | 330.00 | 318.00 | 306.00 | 282.00 |
Drawdown Report:
| Depth (%) | Length (Months) | Recovery (Months) | Start | End |
|---|---|---|---|---|
| -20.87 | 133 | NA | 2008-07-31 | NA |
| -17.72 | 27 | 13 | 2000-12-29 | 2003-02-28 |
| -16.91 | 33 | 9 | 1997-06-30 | 2000-02-29 |
| -9.11 | 50 | 26 | 1991-11-29 | 1995-12-29 |
| -5.51 | 5 | 3 | 2004-11-30 | 2005-03-31 |
| Risk/Reward Statistics | |
|---|---|
| Sharpe Ratio | 0.12 |
| Sortino Ratio | 0.20 |
| Omega Ratio | 0.16 |
| Skewness | 0.90 |
| Kurtosis | 5.34 |
| Risk Statistics | |
|---|---|
| Annualized Std.Deviation | 12.44 |
| Maximum Drawdown | 42.11 |
| Month to Recover | 85.00 |
| Worst Month | -12.32 |
| Losing Months (%) | 48.97 |
| Average Losing Month | -2.34 |
| Loss Deviation | 2.19 |
| Return Statistics | |
|---|---|
| Last Month | -1.71 |
| Year To Date | -9.08 |
| 3 Month ROR | -3.51 |
| 12 Month ROR | -0.96 |
| 36 Month ROR | 1.83 |
| Total Return | 53.30 |
| Compound ROR | 1.51 |
| Best Month | 22.19 |
| Winning Months (%) | 51.03 |
Time Window Analysis:
| 1 Month | 3 Month | 6 Month | 1 Year | 2 Year | 3 Year | 5 Year | |
|---|---|---|---|---|---|---|---|
| Best | 22.19 | 45.55 | 63.53 | 73.84 | 64.12 | 67.39 | 77.38 |
| Worst | -12.32 | -17.27 | -18.38 | -22.24 | -31.84 | -32.13 | -31.65 |
| Average | 0.19 | 0.62 | 1.34 | 2.72 | 5.13 | 7.88 | 13.44 |
| Median | 0.04 | -0.12 | -0.72 | -0.75 | 0.05 | 2.37 | 9.97 |
| Last | -1.71 | -3.51 | -9.08 | -0.96 | -2.21 | 1.83 | 38.68 |
| Winning (%) | 51.03 | 48.67 | 45.83 | 46.06 | 50.31 | 55.88 | 62.77 |
| Avg. Pos. Period | 2.61 | 5.26 | 9.21 | 14.39 | 19.79 | 22.93 | 30.12 |
| Avg. Neg. Period | -2.34 | -3.78 | -5.33 | -7.25 | -9.72 | -11.19 | -14.68 |
| # Of Periods | 341.00 | 339.00 | 336.00 | 330.00 | 318.00 | 306.00 | 282.00 |
Drawdown Report:
| Depth (%) | Length (Months) | Recovery (Months) | Start | End |
|---|---|---|---|---|
| -42.11 | 85 | 12 | 2002-02-28 | 2009-02-27 |
| -35.67 | 81 | 51 | 2009-03-31 | 2015-11-30 |
| -18.29 | 41 | NA | 2016-03-31 | NA |
| -17.60 | 30 | 19 | 1999-03-31 | 2001-08-31 |
| -14.51 | 79 | 49 | 1992-01-31 | 1998-07-31 |
Here we combine the two ideas
| Risk/Reward Statistics | |
|---|---|
| Sharpe Ratio | 0.46 |
| Sortino Ratio | 0.80 |
| Omega Ratio | 0.51 |
| Skewness | 0.77 |
| Kurtosis | 3.91 |
| Risk Statistics | |
|---|---|
| Annualized Std.Deviation | 13.27 |
| Maximum Drawdown | 27.72 |
| Month to Recover | 77.00 |
| Worst Month | -10.65 |
| Losing Months (%) | 43.57 |
| Average Losing Month | -2.53 |
| Loss Deviation | 2.19 |
| Return Statistics | |
|---|---|
| Last Month | -1.71 |
| Year To Date | -14.39 |
| 3 Month ROR | -9.35 |
| 12 Month ROR | -8.88 |
| 36 Month ROR | -7.35 |
| Total Return | 435.35 |
| Compound ROR | 6.06 |
| Best Month | 22.36 |
| Winning Months (%) | 56.43 |
Time Window Analysis:
| 1 Month | 3 Month | 6 Month | 1 Year | 2 Year | 3 Year | 5 Year | |
|---|---|---|---|---|---|---|---|
| Best | 22.36 | 41.81 | 56.36 | 65.80 | 68.23 | 94.43 | 144.49 |
| Worst | -10.65 | -13.79 | -17.99 | -18.51 | -19.88 | -24.06 | -19.80 |
| Average | 0.56 | 1.73 | 3.56 | 7.42 | 15.90 | 26.06 | 50.39 |
| Median | 0.33 | 0.99 | 1.82 | 4.67 | 15.75 | 24.46 | 43.23 |
| Last | -1.71 | -9.35 | -8.99 | -8.88 | -1.38 | -7.35 | 15.86 |
| Winning (%) | 56.43 | 56.76 | 60.53 | 65.86 | 77.12 | 82.41 | 93.99 |
| Avg. Pos. Period | 2.95 | 6.07 | 9.06 | 14.34 | 23.43 | 33.73 | 54.20 |
| Avg. Neg. Period | -2.53 | -3.98 | -4.87 | -5.92 | -9.48 | -9.86 | -9.16 |
| # Of Periods | 342.00 | 340.00 | 337.00 | 331.00 | 319.00 | 307.00 | 283.00 |
Drawdown Report:
| Depth (%) | Length (Months) | Recovery (Months) | Start | End |
|---|---|---|---|---|
| -27.72 | 77 | 32 | 2009-03-31 | 2015-07-31 |
| -20.61 | 44 | NA | 2016-01-29 | NA |
| -20.31 | 56 | 25 | 1991-11-29 | 1996-06-28 |
| -14.98 | 24 | 13 | 2002-01-31 | 2003-12-31 |
| -11.56 | 14 | 12 | 2006-10-31 | 2007-11-30 |
| Risk/Reward Statistics | |
|---|---|
| Sharpe Ratio | 0.55 |
| Sortino Ratio | 1.23 |
| Omega Ratio | 0.64 |
| Skewness | 0.98 |
| Kurtosis | 2.75 |
| Risk Statistics | |
|---|---|
| Annualized Std.Deviation | 23.44 |
| Maximum Drawdown | 42.13 |
| Month to Recover | 41.00 |
| Worst Month | -12.85 |
| Losing Months (%) | 46.04 |
| Average Losing Month | -4.17 |
| Loss Deviation | 3.02 |
| Return Statistics | |
|---|---|
| Last Month | 0.66 |
| Year To Date | -0.78 |
| 3 Month ROR | 0.82 |
| 12 Month ROR | 13.73 |
| 36 Month ROR | -24.21 |
| Total Return | 3003.21 |
| Compound ROR | 12.85 |
| Best Month | 32.35 |
| Winning Months (%) | 53.96 |
Time Window Analysis:
| 1 Month | 3 Month | 6 Month | 1 Year | 2 Year | 3 Year | 5 Year | |
|---|---|---|---|---|---|---|---|
| Best | 32.35 | 65.19 | 78.93 | 104.30 | 151.85 | 249.49 | 287.80 |
| Worst | -12.85 | -18.22 | -23.14 | -25.26 | -39.65 | -35.82 | -5.86 |
| Average | 1.23 | 3.69 | 7.58 | 15.62 | 33.31 | 55.17 | 109.09 |
| Median | 0.49 | 2.58 | 5.02 | 11.92 | 29.69 | 49.70 | 79.58 |
| Last | 0.66 | 0.82 | -0.78 | 13.73 | -9.90 | -24.21 | 7.84 |
| Winning (%) | 53.96 | 59.59 | 61.90 | 70.00 | 81.76 | 85.29 | 97.87 |
| Avg. Pos. Period | 5.84 | 10.65 | 17.17 | 26.75 | 44.23 | 67.45 | 111.55 |
| Avg. Neg. Period | -4.17 | -6.58 | -8.01 | -10.35 | -15.64 | -16.02 | -4.18 |
| # Of Periods | 341.00 | 339.00 | 336.00 | 330.00 | 318.00 | 306.00 | 282.00 |
Drawdown Report:
| Depth (%) | Length (Months) | Recovery (Months) | Start | End |
|---|---|---|---|---|
| -42.13 | 41 | NA | 2016-03-31 | NA |
| -28.57 | 29 | 7 | 2001-11-30 | 2004-03-31 |
| -25.79 | 22 | 5 | 2009-03-31 | 2010-12-31 |
| -25.67 | 41 | 20 | 2011-05-31 | 2014-09-30 |
| -25.02 | 22 | 6 | 2004-04-30 | 2006-01-31 |
Use the Polar Star Trend System on an extended universe of commodities
| Risk/Reward Statistics | |
|---|---|
| Sharpe Ratio | 0.82 |
| Sortino Ratio | 1.95 |
| Omega Ratio | 1.03 |
| Skewness | 1.53 |
| Kurtosis | 7.20 |
| Risk Statistics | |
|---|---|
| Annualized Std.Deviation | 21.68 |
| Maximum Drawdown | 41.79 |
| Month to Recover | 47.00 |
| Worst Month | -11.32 |
| Losing Months (%) | 43.11 |
| Average Losing Month | -3.48 |
| Loss Deviation | 2.62 |
| Return Statistics | |
|---|---|
| Last Month | 0.59 |
| Year To Date | 3.16 |
| 3 Month ROR | 5.23 |
| 12 Month ROR | 19.71 |
| 36 Month ROR | 1.18 |
| Total Return | 10227.97 |
| Compound ROR | 17.73 |
| Best Month | 44.08 |
| Winning Months (%) | 56.89 |
Time Window Analysis:
| 1 Month | 3 Month | 6 Month | 1 Year | 2 Year | 3 Year | 5 Year | |
|---|---|---|---|---|---|---|---|
| Best | 44.08 | 84.24 | 116.12 | 165.97 | 272.37 | 367.65 | 469.46 |
| Worst | -11.32 | -15.25 | -26.58 | -28.72 | -35.94 | -37.96 | -19.35 |
| Average | 1.55 | 4.79 | 9.96 | 21.13 | 46.60 | 77.05 | 155.78 |
| Median | 1.08 | 3.58 | 7.85 | 17.71 | 39.30 | 64.06 | 147.07 |
| Last | 0.59 | 5.23 | 3.16 | 19.71 | 10.30 | 1.18 | 44.71 |
| Winning (%) | 56.89 | 64.31 | 69.05 | 74.24 | 84.28 | 87.91 | 97.16 |
| Avg. Pos. Period | 5.37 | 10.59 | 17.90 | 31.87 | 58.18 | 90.04 | 160.69 |
| Avg. Neg. Period | -3.48 | -5.68 | -7.78 | -9.83 | -15.49 | -17.39 | -12.35 |
| # Of Periods | 341.00 | 339.00 | 336.00 | 330.00 | 318.00 | 306.00 | 282.00 |
Drawdown Report:
| Depth (%) | Length (Months) | Recovery (Months) | Start | End |
|---|---|---|---|---|
| -41.79 | 47 | 14 | 2011-03-31 | 2015-01-30 |
| -28.64 | 46 | NA | 2015-10-30 | NA |
| -26.48 | 18 | 6 | 2004-08-31 | 2006-01-31 |
| -19.32 | 20 | 2 | 2009-03-31 | 2010-10-29 |
| -15.87 | 7 | 3 | 1993-06-30 | 1993-12-31 |
| Risk/Reward Statistics | |
|---|---|
| Sharpe Ratio | 1.33 |
| Sortino Ratio | 2.61 |
| Omega Ratio | 1.62 |
| Skewness | 0.16 |
| Kurtosis | 0.19 |
| Risk Statistics | |
|---|---|
| Annualized Std.Deviation | 9.55 |
| Maximum Drawdown | 7.85 |
| Month to Recover | 10.00 |
| Worst Month | -5.31 |
| Losing Months (%) | 35.79 |
| Average Losing Month | -1.79 |
| Loss Deviation | 1.40 |
| Return Statistics | |
|---|---|
| Last Month | 4.71 |
| Year To Date | 7.88 |
| 3 Month ROR | 8.75 |
| 12 Month ROR | 13.48 |
| 36 Month ROR | 27.99 |
| Total Return | 157.01 |
| Compound ROR | 12.66 |
| Best Month | 8.36 |
| Winning Months (%) | 64.21 |
Time Window Analysis:
| 1 Month | 3 Month | 6 Month | 1 Year | 2 Year | 3 Year | 5 Year | |
|---|---|---|---|---|---|---|---|
| Best | 8.36 | 14.50 | 24.88 | 44.94 | 63.69 | 73.14 | 110.72 |
| Worst | -5.31 | -6.11 | -6.14 | -2.80 | -2.91 | 9.56 | 62.74 |
| Average | 1.04 | 3.03 | 6.11 | 12.19 | 26.35 | 44.01 | 80.27 |
| Median | 0.86 | 2.60 | 4.95 | 9.26 | 24.19 | 48.08 | 76.61 |
| Last | 4.71 | 8.75 | 11.38 | 13.48 | 30.19 | 27.99 | 67.81 |
| Winning (%) | 64.21 | 76.34 | 85.56 | 92.86 | 98.61 | 100.00 | 100.00 |
| Avg. Pos. Period | 2.61 | 4.78 | 7.66 | 13.22 | 26.76 | 44.01 | 80.27 |
| Avg. Neg. Period | -1.79 | -2.61 | -3.07 | -1.19 | -2.91 | NaN | NaN |
| # Of Periods | 95.00 | 93.00 | 90.00 | 84.00 | 72.00 | 60.00 | 36.00 |
Drawdown Report:
| Depth (%) | Length (Months) | Recovery (Months) | Start | End |
|---|---|---|---|---|
| -7.85 | 10 | 2 | 2016-10-31 | 2017-07-31 |
| -6.11 | 5 | 2 | 2014-01-31 | 2014-05-31 |
| -5.79 | 7 | 3 | 2015-12-31 | 2016-06-30 |
| -5.31 | 4 | 3 | 2013-01-31 | 2013-04-30 |
| -5.11 | 3 | 2 | 2013-08-31 | 2013-10-31 |